It's not a big problem, but I don't like it when apps create folders/registry keys/values on the system when they're not really needed. …

• This folder is needed in two cases :
1. As soon as you set a favourite folder in the browser. Your wish could be satisfied whether the text file in wich the list is saved should be changed as a real text-menu in <Language>, like it's expressed in this message and linked others too.
2. It's used to store the wallpapers, if you make some…
• Like a user suggested already, I guess that the wallpapers could be located directly in <windows> (under Win 9x)…